Lightweight Distributed Gaussian Process Regression for Online Machine Learning

In this article, we study the problem where a group of agents aims to collaboratively learn a common static latent function through streaming data. We propose alight weight distributed Gaussian process regression (GPR)algorithm that is cognizant of agents' limited capabilities in communication, computation, and memory. Each agent independently runs agent-based GPR using local streaming data to predict test points of interest; then, the agents collaboratively execute distributed GPR to obtain global predictions over a common sparse set of test points; finally, each agent fuses results from distributed GPR with agent-based GPR to refine its predictions. By quantifying the transient and steady-state performances in predictive variance and error, we show that limited inter agent communication improves learning performances in the sense of Pareto. Monte Carlo simulation is conducted to evaluate the developed algorithm.